CO372 Winter 2018
    Computational optimization methodologies underlying portfolio problems in finance. Computational linear algebra, determining derivatives, quadratic and nonlinear optimization. The efficient frontier problem. Applications of optimization in finance such as volatility surface determination and global minimization for Value-at-Risk.

Portfolio Optimization Models ( Course Information/Syllabus)
Instructor: Henry Wolkowicz (MC6312;;519-888-4567x35589)

  • Time:T-R 11:30--1:00PM;     from Thurs. Jan. 4 to Tues. Apr. 3.
  • Location: MC4059
  • Office Hour: Henry Wolkowicz: for answering questions; Thursday, Apr. 19, 3:00-4:30PM, in MC6486.
  • TAs:
    • Nargiz Kalantarova, Office Hour: Friday, Apr. 20, 9:30-10:30AM, in MC5119
    • Sina Rezazadeh Baghal, Office Hour: Monday Apr. 23 1:00-2:00PM, in MC5492
  • Midterm: In class, Thurs. Feb. 15, 2018. closed book; no calculators.
  • FINAL EXAM: Tuesday, April 24, 2018, 9:00-11:30AM, location PAC 8; closed book; no calculators; You may bring one 8.5-by-11 sheet of paper with handwritten notes.
  • Marking Scheme: HW (5-7 assigns) 25%; Midterm 25%; Final 50%
  • see Waterloo LEARN for Assignments (solutions outlined in class), Partial Lecture Notes, etc...

  • Text - Class notes (and reference: Portfolio Optimization, Michael J. Best (on reseerve))

  • Last Modified:  Friday 14 September 2018